Identifying the Structure of High-Dimensional Time Series via Eigen-Analysis
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Cites work
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- Distributed estimation of principal eigenspaces
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- ECA: High-Dimensional Elliptical Component Analysis in Non-Gaussian Distributions
- Eigenvalue ratio test for the number of factors
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- scientific article; zbMATH DE number 5691097 (Why is no real title available?)
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- ON THE DISTRIBUTION OF ROOTS OF CERTAIN DETERMINANTAL EQUATIONS
- On the distribution of the largest eigenvalue in principal components analysis
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- Spiked sample covariance matrices with possibly multiple bulk components
- Spiked separable covariance matrices and principal components
- Spurious factor analysis
- Statistical inference for principal components of spiked covariance matrices
- Testing for unit roots based on sample autocovariances
- Testing General Linear Hypotheses Under a High-Dimensional Multivariate Regression Model with Spiked Noise Covariance
- THE SAMPLING DISTRIBUTION OF SOME STATISTICS OBTAINED FROM NON‐LINEAR EQUATIONS
- Towards a general theory for nonlinear locally stationary processes
- Tracy-Widom Distribution for Heterogeneous Gram Matrices With Applications in Signal Detection
- Universality for the largest eigenvalue of sample covariance matrices with general population
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